Make sure the associations are proxied and lazy to avoid it hitting the maximum depth limit of eager associations retrieval in Aurelius: Expand: Depth greater than 3 - #2 by wlandgraf
Other than this, such message might be caused because you the entity is in the list but is destroyed. If you somehow destroy an item, calling Free or Manager.Remove, also make sure you remove them from the lists they belong.
Third, make sure your lists are TList, not TObjectList, or at least, if they are TObjectLlist, make sure they don't destroy the objects they contain when they are removed.
If nothing above helps, please send a minimum compilable project reproducing the issue.